ES overnight gap trading

T

traderjo

Looking for information on Index Gap trading ( ES/ YM etc)
Attended a webinar recently by a FCM ( but i think it was a plug for a Education seller)
The concept was If the Index future opens with a gap up or down ( when US NYSE opens ) the futures contract will revert to the last close price of previous day's close!

Is it true?
Does it really happen
what time frame?
 
Personally I will ignore all these teachings.
If market gaps up, market can

1. continue to go north,
2. reverse to close the gap,
3. or will hardly move at all.


If you see US session keep on having gaps, it simply means you should trade during European or Asian session (depending on whether there are major events/news in Asia or Europe) .


Similarly if you keep on seeing gaps during Asian session, it simply means you should trade during US session because there are major news/ events happening in US.
 
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There is no real gap, since ES and YM trade 23 hours a day...

But I assume you're talking about a drift away from prev close during after hours... during the Asian and European session?

Uhm... I don't know the stats.. but if it does, the reasoning would be that the underlying stocks are doing a catch-up during opening auction and probably they are not too efficient during those first minutes, meaning traders will do an arb by buying/selling the future vs the stocks.

Seems logical to me, but you need to know where the opening prices of the spot index will be, or estimate it... and than you could play a little bit with the future. But it depends on when you want to do that... early on, or more close to actual opening.
 
JackRab said:
There is no real gap, since ES and YM trade 23 hours a day...

But I assume you're talking about a drift away from prev close during after hours... during the Asian and European session?

Uhm... I don't know the stats.. but if it does, the reasoning would be that the underlying stocks are doing a catch-up during opening auction and probably they are not too efficient during those first minutes, meaning traders will do an arb by buying/selling the future vs the stocks.

Seems logical to me, but you need to know where the opening prices of the spot index will be, or estimate it... and than you could play a little bit with the future. But it depends on when you want to do that... early on, or more close to actual opening.
More...

I think he is talking about ES YM index, not ES ym futures
 
traderjo said:
Looking for information on Index Gap trading ( ES/ YM etc)
Attended a webinar recently by a FCM ( but i think it was a plug for a Education seller)
The concept was If the Index future opens with a gap up or down ( when US NYSE opens ) the futures contract will revert to the last close price of previous day's close!

Is it true?
Does it really happen
what time frame?
More...

You're describing a "gap fill". They don't necessarily do so any time soon. And certainly not necessarily to "yesterday's close". Sometimes not at all. Ever hear of "gap and go"?
 
traderjo said:
Looking for information on Index Gap trading ( ES/ YM etc)
Attended a webinar recently by a FCM ( but i think it was a plug for a Education seller)
The concept was If the Index future opens with a gap up or down ( when US NYSE opens ) the futures contract will revert to the last close price of previous day's close!

Is it true?
Does it really happen
what time frame?
More...

Write a software to test it. Not too difficult.
 
The OP might want to search for a thread called Pekelo's 2nd gap rule...

Since he was too lazy to search first, I am too lazy to include the link.
 
maxinger said:
I think he is talking about ES YM index, not ES ym futures
More...
What I am talking about is When the US equity market closes stock trading stops and the SPX index stops! but the Es futures ( which is based on the 500 stock SPX index )continues to trade in to Asian until the US Equity market opens again) Here is the webinar .. I just wanted to check independently if other people have studied such a thing . have a look
https://attendee.gotowebinar.com/re...0320899/5495168186747332611/korecom@yahoo.com
 
If we gap up on Monday it has a 90% chance to close that gap by 4 pm so short the shit out of it. Not all gaps are equal, but the Monday upgap will be a second gap.

And it is pretty obvious what you meant by gaps, only idiots question it.
 
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